- Anonymous student in my Monte Carlo Methods for PDE 2013 class
- Mr. Bernard Minsky
- Dr. Bertram During
- Dr. Christof Heuer
- Mr. Lai Yutong
- Dr. Manolis Georgoulis
- Dr. Qi Tang
- Mr. Yanshan Shi
In this blog, I intend to post information related to my area of interest in Financial Mathematics, Option Pricing, Monte Carlo methods, Probability Theory, Computational Finance and Quantitative Analysis.
Pages
- Home
- Risk Measures
- What is An Option?
- Topics in Probability
- Stochastic Differential Equations (SDE)
- Ito's Lemma
- Transform a SDE Into a PDE and Vise Versa
- Generating Random Numbers and Statistical Distributions
- Monte Carlo Techniques
- Monte Carlo Methods in Option Pricing
- Pricing American Options Using Least Square Monte Carlo
- Binomial Method to Price Options
- Derivation of the Black-Scholes PDE
- Transform the Black-Scholes PDE to the Heat Equation
- Finite Difference methods
- Analytic Approximation of American Options, G. Barone-Adesi and R. E. Whaley (1987)
- The Method of Maximum Likelihood Estimation
- Rank Correlation: Kendall \(\tau\)
- Principal Component Analysis (PCA)
- Acknowledgement
Acknowledgement
I would like to thank the following people for comments, notes and feedback on parts of the original material that is published on this site. Of course, all mistakes are my responsibility.